Applying CVaR for decentralized risk management of financial companies

Journal of Banking and Finance

Volumn 30, Issue 2, 2006, Pages 627-644

  Mulvey, John M ^a   Erkan, Hafize G ^a  

^a Princeton University   (United States)

Author keywords

Conditional value at risk; Decentralized optimization; Risk management; Risk measures; Utility optimization

Indexed keywords

EID: 32944469944     PISSN: 03784266     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jbankfin.2005.04.010     Document Type: Article

References (30)

1. P. Artzner F. Delbean J. Eber D. Heath Coherent measures of risk Math. Finan. 9 3 1999 203-228
2. W.J. Baumol T. Fabian Decomposition, pricing for decentralization and external economies Manage. Sci. 11 1 1964 1-32
3. D. Bell Risk, return, and utility Manage. Sci. 41 1995 23-30
4. Berger, A.J., Mulvey, J.M., Nish, K., 1998. A portfolio management system for catastrophe property liabilities. Casualty Actuarial Society Forum (Summer), 1-14.
5. G.C.E. Boender A hybrid simulation/optimization scenario model for asset-liability management Eur. J. Oper. Res. 99 1997 126-135
6. S.P. Bradley A.C. Hax T.L. Magnanti Applied mathematical programming 1977 Addison-Wesley
7. Burket, J., McIntyre, T., Sonlin, S., 2001. Dynamic financial analysis: DFA insurance company case study. Casualty Actuarial Society Forum (Spring).
8. D.R. Cariño T. Kent D. Myers C. Stacy M. Sylvanus A. Turner K. Watanabe W. Ziemba The Russell-Yasuda Kasai model: An asset-liability model for a Japanese insurance company using multi-stage stochastic programming Interfaces 24 1994 29-49
9. D.R. Carinño W.T. Ziemba Formulation of the Russell-Yasuda Kasai financial planning model Oper. Res. 46 4 1998 433-449
10. G. Consigli M.A.H. Dempster Dynamic stochastic programming for asset-liability management Ann. Oper. Res. 81 1998 131-161
11. G.B. Dantzig P. Wolfe The decomposition algorithm for linear programs Econometrica 29 4 1961 767-778
12. R. Enz K. Karl Profitability of the non-life insurance industry: Its back-to-basics time Swiss Re Sigma 5 2001
13. K.A. Froot J.C. Stein Risk management, capital budgeting, and capital structure policy for financial institutions: An integrated approach J. Financ. Econ. 47 1998 55-82
14. Hoyland, K., 1998. Asset-liability management for a life insurance company: A stochastic programming approach. Ph.D. Dissertation, Norwegian University of Science and Technology.
15. Kaufman, A., Ryan, T., 2000. Strategic asset allocation for multi-line insurers using dynamic financial analysis. Casualty Actuarial Society Forum (Summer).
16. R. Kouwenberg Scenario generation and stochastic programming models for asset-liability management Eur. J. Oper. Res. 134 2001 279-292
17. D. Laster E. Thorlacius Asset-liability management for insurers Swiss Re Sigma 6 2000
18. Lowe, S.P., Stanard, J., 1996. An integrated dynamic financial analysis and decision support system for a property catastrophe reinsurer. CAS Seminar on Dynamic Financial Analysis, Spring CAS Forum.
19. Mango, D., Mulvey, J.M., 2000. Capital adequacy and allocation using dynamic financial analysis. Casualty Actuarial Society Forum (Summer).
20. Mulvey, J.M., Pauling, B., Britt, S., Morin, F., 2005. Dynamic financial analysis for multinational insurance companies. To appear in North Holland Handbook on Finance.
21. Mulvey, J.M., Erkan, H.G., 2005a. Decentralized risk management for global P/C insurance companies. To appear in Handbook on Finance, Wallace, S., Ziemba, W.T. (Eds.).
22. Mulvey, J.M., Erkan, H.G., 2005b. Robust supply chain models. To appear in Proceedings of NSF DMII Grantees' Conference, Arizona.
23. J. Mulvey G. Gould C. Morgan An asset and liability management system for Towers Perrin-Tillinghast Interfaces 30 2000 96-114
24. Risknews., July 2000. Das Magazin fuer Risk Management.
25. R.T. Rockafellar S. Uryasev Optimization of conditional value-at-risk J. Risk 2 2000 21-41
26. Rockafellar, R.T., Uryasev, S., 2001. Conditional value-at-risk for general loss distributions. Res. Rep. 2001-5, ISE Department, University of Florida.
27. S. Uryasev Conditional value-at-risk: Optimization algorithms and applications Financ. Eng. News 14 Feb. 2000 1-5
28. Vanderbei, R.B. Optimization and applications website at Princeton University. www.orfe.princeton.edu/~loqo.
29. S. Wallace Generating scenario trees for multistage problems Manage. Sci. Feb. 2001 295-307
30. W.T. Ziemba J.M. Mulvey Worldwide Asset and Liability Modeling 1998 Publications of the Newton Institute, Cambridge Press